On the implied market price of risk under the stochastic numéraire

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On the implied market price of risk under the stochastic numéraire

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. An equivalent martingale measure is not unique for this market, and there are non-replicable claims. Some rational choi...

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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Springer-Verlag 2018
Online Access:	http://hdl.handle.net/20.500.11937/63418

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